Pricing and trading credit default swaps in a hazard process model

Details Pricing and trading credit default swaps in a hazard process model Pricing and trading credit default swaps in a hazard process model

2009-01-16

arxiv.org/abs/0901.2390v1

Annals of Applied Probability 2008, Vol. 18, No. 6, 2495-2529

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/00-AAP520 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/00-AAP520

In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant filtrations. These results are then applied so to study the problem of replication of general defaultable claims, including some basket claims, by means of dynamic trading of credit default swaps.

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